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Agency MBS | 12 Months Ended
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Dec. 31, 2011
AGENCY MBS [Abstract] |
Agency MBS | AGENCY MBS The following table presents the components of the Company’s investment in Agency MBS as of December 31, 2011 and December 31, 2010:
| December 31, 2011 |  | December 31, 2010
| RMBS |  | CMBS |  | Total |  | RMBS |  | CMBS |  | Total
Principal/par value | $ | 1,488,397 |  |  | $ | 266,952 |  |  | $ | 1,755,349 |  |  | $ | 937,376 |  |  | $ | 190,511 |  |  | $ | 1,127,887 |
Unamortized premium | 85,488 |  |  | 107,985 |  |  | 193,473 |  |  | 43,776 |  |  | 18,757 |  |  | 62,533 |
Unamortized discount | (17 | ) |  | — |  |  | (17 | ) |  | (36 | ) |  | — |  |  | (36 | )
Amortized cost | 1,573,868 |  |  | 374,937 |  |  | 1,948,805 |  |  | 981,116 |  |  | 209,268 |  |  | 1,190,384 |
Unrealized gains: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available for sale | 10,787 |  |  | 12,096 |  |  | 22,883 |  |  | 8,266 |  |  | 567 |  |  | 8,833 |
Trading | — |  |  | 1,919 |  |  | 1,919 |  |  | — |  |  | — |  |  | — |
Unrealized losses: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available for sale | (7,405 | ) |  | (1,043 | ) |  | (8,448 | ) |  | (3,371 | ) |  | (3,267 | ) |  | (6,638 | )
Trading | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Fair value | $ | 1,577,250 |  |  | $ | 387,909 |  |  | $ | 1,965,159 |  |  | $ | 986,011 |  |  | $ | 206,568 |  |  | $ | 1,192,579 |
Weighted average coupon based on par value | 4.54 | % |  | 5.20 | % |  | 4.64 | % |  | 4.46 | % |  | 5.41 | % |  | 4.62 | %
The Company purchased $1,215,155 of Agency RMBS and $202,436 of Agency CMBS in 2011. As of December 31, 2011, the amortized cost and fair value of Agency CMBS designated as trading securities was $28,119 and $30,038, respectively, with the remainder of the Company's Agency CMBS and Agency RMBS designated as available-for-sale. The Company did not hold any Agency CMBS or RMBS designated as trading securities as of December 31, 2010. The Company has not sold any of its Agency CMBS designated as trading securities purchased during the year ended December 31, 2011, and has recognized a net unrealized gain for the year ended December 31, 2011 of $1,919 related to changes in fair value, which is included within “fair value adjustments, net” in its consolidated statements of income. The Company also has derivatives designated as trading instruments, and the changes in their fair value are also included within "fair value adjustments, net". Please refer to Note 7 for additional information on these derivatives designated as trading instruments. A portion of the Company's Agency CMBS as reported in the table above as of December 31, 2011 are interest-only securities. The Company did not hold any Agency interest-only securities as of December 31, 2010. The table below presents the Company's Agency CMBS by security type as of December 31, 2011.
| December 31, 2011
| Principal |  | Premium |  | Unrealized Gain (Loss) |  | Total
Principal and interest securities | $ | 266,952 |  |  | $ | 21,627 |  |  | $ | 13,665 |  |  | $ | 302,244 |
IO securities (1) | — |  |  | 86,358 |  |  | (693 | ) |  | 85,665 |
Fair value of Agency CMBS | $ | 266,952 |  |  | $ | 107,985 |  |  | $ | 12,972 |  |  | $ | 387,909 |
(1) The combined notional balance for the Agency IO securities is $1,813,096 as of December 31, 2011.

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- Definition Tabular disclosure of investments in certain debt securities that are guaranteed by a government-sponsored entity such as Fannie Mae or Freddie Mac and which have readily determinable fair values. These securities have an accounting designation of either available-for-sale (changes in fair value are recorded as unrealized gains/losses in other comprehensive income until sold or otherwise disposed of) or trading (changes in fair value are recorded as recognized but unrealized gains/losses in the current period's statement of income). + References No definition available. + Details
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